We had an issue where a server would not be rejecting mail from IP’s listed at zen.spamhaus.org, and found this pretty interesting:

Check what DNS resolvers you are using: If you are using a free “open DNS resolver” service such as Google Public DNS or Level3′s public DNS servers to resolve your DNSBL requests, in most cases you will receive a “not listed” (NXDOMAIN) reply from Spamhaus’ public DNSBL servers. Please use your own DNS servers when doing DNSBL queries to Spamhaus.